LAUSR

ABSTRACT This study employs the GARCH-Copula-CoVaR and spillover index models to investigate the dependence and risk spillover effects among China’s financial markets before and after the “811” exchange rate reform. The findings show that the gold market is the largest risk spillover recipient to the exchange market and has the strongest dependence with the exchange market. The exchange market is greatly affected by the spillover effects of other financial markets, and the monetary market is the main source of these risk spillovers effects. The external spillover effects of the exchange market were significantly enhanced after the reform, but its influences on other financial markets are still weak. The exchange rate reform caused the RMB exchange rate to depreciate sharply and fluctuate violently within a period of time, but it did not have a significant impact on the spillover effect trends of the exchange market in the long term.